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On the robustness of Ljung-Box and McLeod-Li Q tests : a simulation study

Chen, Yi-ting (contributor) - In: Economics bulletin : EB (2002)

Persistent link: https://www.econbiz.de/10001740184

Spatial Modeling of Stock Market Comovements

Fernández-Avilés, Gema - 2014

We model the complex global dependencies in international financial markets using spatial techniques. Our methodology allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise relationships, and improves the accuracy of return...

Persistent link: https://www.econbiz.de/10013055629

Spatial GARCH : A Spatial Approach to Multivariate Volatility Modeling

Borovkova, Svetlana - 2012

This paper introduces a new approach to modelling the conditional variance in a multivariate setting. It is essentially a combination of the popular GARCH model class with a spatial component, inspired by generalized space-time models. The resulting spatial GARCH model takes into account both...

Persistent link: https://www.econbiz.de/10013097898

Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by … History of Econometrics at the University of California, San Diego: A Personal Viewpoint 1 … 6 7 Wives 8 8 The Econometrics Research Project …

Persistent link: https://www.econbiz.de/10003861657

The Effects of VIX Index, Exchange Rate & Oil Prices on the BIST 100 Index : A Quantile Regression Approach

Tekin, Bilgehan - 2020

The aim of this study is to investigate the effect of oil price, US Dollar rate and VIX on Borsa Istanbul by employing quantile regression model. In the literature, there are studies that examine the effect of the mentioned factors on stock market, but the number of studies in which these...

Persistent link: https://www.econbiz.de/10012854437

Long memory or structural break : evidence from the Tehran stock market

Kashi, Mansoor; Hosseini, Seyed Hasan; Jeshvaghani, … - In: International journal of procurement management 12 (2019) 4, pp. 425-440

Persistent link: https://www.econbiz.de/10012138470

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020

The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

Persistent link: https://www.econbiz.de/10012219363

Value at risk forecasting with the ARMA-GARCH family of models in times of increased volatility

Jánský, Ivo; Rippel, Milan - 2011

The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the ARMA processes with up to two lags and variance with one of...

Persistent link: https://www.econbiz.de/10009234150

Periodic heteroskedastic RegARFIMA models for daily electricity spot prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...

Persistent link: https://www.econbiz.de/10011334362